An Itô-Wentzell formula for the fractional Brownian motion

2024/02/09 by Luís Maia, Maia, Luís
Economics, Econometrics and Finance · #60G22 #60H10 #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2402.06328

openalex publication_date 2024/02/09 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We prove an Itô-Wentzell formula for the fractional Brownian motion. As an application we derive an existence and uniqueness result for a class of stochastic differential equations driven by this stochastic process.

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